DERIVATIVES (Tables)
|
3 Months Ended |
Mar. 31, 2024 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
Fair Value and Notional Value of Derivative Assets and Liabilities |
The fair value and notional value of the derivative assets and liabilities were as follows: | | | | | | | | | | | | | | | | | | | As of March 31, 2024 | | Notional Value | | Derivative Assets | | Derivative Liabilities | Asset Management and Strategic Holdings | | | | | | | Foreign Exchange Contracts and Options | | $ | 17,908,773 | | | $ | 294,511 | | | $ | 321,024 | | Other Derivatives | | 824,134 | | | 4,258 | | | 17 | | Total Asset Management and Strategic Holdings | | $ | 18,732,907 | | | $ | 298,769 | | | $ | 321,041 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Insurance | | | | | | | Derivatives designated as hedge accounting instruments: | | | | | | | Interest rate contracts | | $ | 8,770,500 | | | $ | — | | | $ | 421,859 | | Foreign currency contracts | | 2,199,012 | | | 35,573 | | | 35,332 | | Total derivatives designated as hedge accounting instruments | | $ | 10,969,512 | | | $ | 35,573 | | | $ | 457,191 | | Derivatives not designated as hedge accounting instruments: | | | | | | | Interest rate contracts | | $ | 28,140,901 | | | $ | 182,268 | | | $ | 303,621 | | Equity market contracts | | 35,709,220 | | | 1,708,083 | | | 199,924 | | Foreign currency contracts | | 1,379,435 | | | 75,026 | | | 44,523 | | Other contracts | | 60,996 | | | 957 | | | 514 | | | | | | | | | Total derivatives not designated as hedge accounting instruments | | $ | 65,290,552 | | | $ | 1,966,334 | | | $ | 548,582 | | Impact of netting(2) | | — | | | (1,973,523) | | | (851,062) | | Total Insurance(1) | | $ | 76,260,064 | | | $ | 28,384 | | | $ | 154,711 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair value included within total assets and liabilities | | $ | 94,992,971 | | | $ | 327,153 | | | $ | 475,752 | |
(1)Excludes embedded derivatives. The fair value of these embedded derivatives related to assets was $114.0 million and the fair value of these embedded derivatives related to liabilities was $2.0 billion as of March 31, 2024. (2)Represents netting of derivative exposures covered by qualifying master netting agreements. | | | | | | | | | | | | | | | | | | As of December 31, 2023 | Notional Value | | Derivative Assets | | Derivative Liabilities | Asset Management and Strategic Holdings | | | | | | Foreign Exchange Contracts and Options | $ | 15,771,463 | | | $ | 264,621 | | | $ | 441,608 | | Other Derivatives | 374,604 | | | 4,792 | | | 2,382 | | Total Asset Management and Strategic Holdings | $ | 16,146,067 | | | $ | 269,413 | | | $ | 443,990 | | | | | | | | Insurance | | | | | | Derivatives designated as hedge accounting instruments: | | | | | | Interest rate contracts | $ | 7,320,500 | | | $ | — | | | $ | 372,212 | | Foreign currency contracts | 2,302,335 | | | 24,278 | | | 73,478 | | Total derivatives designated as hedge accounting instruments | $ | 9,622,835 | | | $ | 24,278 | | | $ | 445,690 | | Derivatives not designated as hedge accounting instruments: | | | | | | Interest rate contracts | $ | 22,259,423 | | | $ | 284,067 | | | $ | 306,244 | | Equity market contracts | 35,203,206 | | | 1,480,875 | | | 248,127 | | Foreign currency contracts | 1,331,345 | | | 65,803 | | | 56,616 | | Other contracts | 60,000 | | | — | | | 600 | | Total derivatives not designated as hedge accounting instruments | $ | 58,853,974 | | | $ | 1,830,745 | | | $ | 611,587 | | Impact of netting(2) | — | | | (1,809,329) | | | (911,080) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Insurance(1) | $ | 68,476,809 | | | $ | 45,694 | | | $ | 146,197 | | | | | | | | Fair value included within total assets and liabilities | $ | 84,622,876 | | | $ | 315,107 | | | $ | 590,187 | |
(1)Excludes embedded derivatives. The fair value of these embedded derivatives related to assets was $88.7 million and the fair value of these embedded derivatives related to liabilities was $1.6 billion as of December 31, 2023. (2)Represents netting of derivative exposures covered by qualifying master netting agreements.
|
Schedule of Derivative Liabilities at Fair Value |
The following table presents the financial statement classification, carrying amount and cumulative fair value hedging adjustments for qualifying hedged assets and liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | As of March 31, 2024 | | As of December 31, 2023 | | Carrying amount of hedged assets/(liabilities) | | Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged assets/(liabilities)(1) | | Carrying amount of hedged assets/(liabilities) | | Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged assets/(liabilities)(1) | AFS fixed maturity securities(2) | $ | 2,168,807 | | | $ | (45,116) | | | $ | 2,324,364 | | | $ | 80,210 | | Debt | (2,307,233) | | | (202,919) | | | (1,608,294) | | | (165,817) | | Policy liabilities | (5,058,716) | | | (272,648) | | | (4,380,048) | | | (255,308) | | | | | | | | | |
(1)Includes $23.4 million and $27.8 million of hedging adjustments on discontinued hedging relationships as of March 31, 2024 and December 31, 2023, respectively. (2)Carrying amount is the amortized cost for AFS debt securities.
|
Derivative Gains and Losses |
The following table presents the financial statement classification and amount of gains (losses) recognized on derivative instruments and related hedged items, where applicable: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2024 | | Net Gains (Losses) from Investment Activities | | Net investment-related gains (losses) | | Net investment income | | Net policy benefits and claims | | Interest expense | | Change in AOCI | Derivatives designated as hedge accounting instruments: | | | | | | | | | | | | Fair value hedges | | | | | | | | | | | | Gains (losses) on derivatives designated as hedge instruments: | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | — | | | $ | — | | | $ | (63,695) | | | $ | (52,695) | | | $ | — | | Foreign currency contracts | — | | | 49,541 | | | 982 | | | — | | | — | | | (4,690) | | Total gains (losses) on derivatives designated as hedge instruments | $ | — | | | $ | 49,541 | | | $ | 982 | | | $ | (63,695) | | | $ | (52,695) | | | $ | (4,690) | | Gains (losses) on hedged items: | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | — | | | $ | — | | | $ | 63,695 | | | $ | 52,695 | | | $ | — | | Foreign currency contracts | — | | | (45,116) | | | — | | | — | | | — | | | — | | Total gains (losses) on hedged items | $ | — | | | $ | (45,116) | | | $ | — | | | $ | 63,695 | | | $ | 52,695 | | | $ | — | | Amortization for gains (losses) excluded from assessment of effectiveness: | | | | | | | | | | | | Foreign currency contracts | $ | — | | | $ | 6,381 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Total amortization for gains (losses) excluded from assessment of effectiveness | — | | | 6,381 | | | — | | | — | | | — | | | — | | Total gains (losses) on fair value hedges, net of hedged items | $ | — | | | $ | 10,806 | | | $ | 982 | | | $ | — | | | $ | — | | | $ | (4,690) | | Cash flow hedges | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | — | | | $ | (845) | | | $ | — | | | $ | — | | | $ | (31,288) | | Total gains (losses) on cash flow hedges | $ | — | | | $ | — | | | $ | (845) | | | $ | — | | | $ | — | | | $ | (31,288) | | Derivatives not designated as hedge accounting instruments: | | | | | | | | | | | | Asset Management and Strategic Holdings | | | | | | | | | | | | Foreign Exchange Contracts and Options | $ | 183,342 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Other Derivatives | 2,450 | | | — | | | — | | | — | | | — | | | — | | Total included in Net Gains (Losses) from Investment Activities | $ | 185,792 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | Insurance | | | | | | | | | | | | Embedded derivatives - funds withheld receivable | $ | — | | | $ | 25,330 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Embedded derivatives - funds withheld payable | — | | | 95,441 | | | — | | | — | | | — | | | — | | Equity index options | — | | | 257,103 | | | — | | | — | | | — | | | — | | Equity future contracts | — | | | (63,516) | | | — | | | — | | | — | | | — | | Interest rate contracts | — | | | (249,295) | | | — | | | — | | | — | | | — | | Foreign exchange and other derivative contracts | — | | | 25,099 | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | Total gains (losses) on derivatives not designated as hedge accounting instruments from Insurance Activities | $ | — | | | $ | 90,162 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Total | $ | 185,792 | | | $ | 100,968 | | | $ | 137 | | | $ | — | | | $ | — | | | $ | (35,978) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2023 | | Net Gains (Losses) from Investment Activities | | Net investment-related gains (losses) | | Net investment income | | Net policy benefits and claims | | Interest expense | | Change in AOCI | Derivatives designated as hedge accounting instruments: | | | | | | | | | | | | Fair value hedges | | | | | | | | | | | | Gains (losses) on derivatives designated as hedge instruments: | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | — | | | $ | — | | | $ | 34,557 | | | $ | 20,104 | | | $ | — | | Foreign currency contracts | — | | | (35,388) | | | — | | | — | | | — | | | 9,280 | | Total gains (losses) on derivatives designated as hedge instruments | $ | — | | | $ | (35,388) | | | $ | — | | | $ | 34,557 | | | $ | 20,104 | | | $ | 9,280 | | Gains (losses) on hedged items: | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | — | | | $ | — | | | $ | (34,557) | | | $ | (20,104) | | | $ | — | | Foreign currency contracts | — | | | 29,624 | | | — | | | — | | | — | | | — | | Total gains (losses) on hedged items | $ | — | | | $ | 29,624 | | | $ | — | | | $ | (34,557) | | | $ | (20,104) | | | $ | — | | Amortization for gains (losses) excluded from assessment of effectiveness: | | | | | | | | | | | | Foreign currency contracts | $ | — | | | $ | 6,826 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Total amortization for gains (losses) excluded from assessment of effectiveness | $ | — | | | $ | 6,826 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Total gains (losses) on fair value hedges, net of hedged items | $ | — | | | $ | 1,062 | | | $ | — | | | $ | — | | | $ | — | | | $ | 9,280 | | Cash flow hedges | | | | | | | | | | | | Interest rate contracts | $ | — | | | $ | (268) | | | $ | — | | | $ | — | | | $ | — | | | $ | 57,920 | | Total gains (losses) on cash flow hedges | $ | — | | | $ | (268) | | | $ | — | | | $ | — | | | $ | — | | | $ | 57,920 | | Derivatives not designated as hedge accounting instruments: | | | | | | | | | | | | Asset Management and Strategic Holdings | | | | | | | | | | | | Foreign Exchange Contracts and Options | $ | (22,366) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Other Derivatives | 12,208 | | | — | | | — | | | — | | | — | | | — | | Total included in Net Gains (Losses) from Investment Activities | $ | (10,158) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | Insurance | | | | | | | | | | | | Embedded derivatives - funds withheld receivable | $ | — | | | $ | (30,767) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Embedded derivatives - funds withheld payable | — | | | (430,235) | | | — | | | — | | | — | | | — | | Equity index options | — | | | 83,887 | | | — | | | — | | | — | | | — | | Equity future contracts | — | | | (40,825) | | | — | | | — | | | — | | | — | | Interest rate and foreign exchange contracts | — | | | 68,996 | | | — | | | — | | | — | | | — | | Other contracts | — | | | (75) | | | — | | | — | | | — | | | — | | | | | | | | | | | | | | Total gains (losses) on derivatives not qualifying as hedge accounting instruments from Insurance Activities | $ | — | | | $ | (349,019) | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | Total | $ | (10,158) | | | $ | (348,225) | | | $ | — | | | $ | — | | | $ | — | | | $ | 67,200 | |
|
Offsetting Assets |
The amount of Global Atlantic's net derivative assets and liabilities after consideration of collateral received or pledged were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of March 31, 2024 | Gross amount recognized | | Gross amounts offset in the statements of financial position(1) | | Net amounts presented in the statements of financial condition | | Collateral (received) / pledged | | Net amount after collateral | Derivative assets (excluding embedded derivatives) | $ | 2,001,907 | | | $ | (1,973,523) | | | $ | 28,384 | | | $ | (16,333) | | | $ | 12,051 | | Derivative liabilities (excluding embedded derivatives) | $ | 1,005,773 | | | $ | (851,062) | | | $ | 154,711 | | | $ | 198,464 | | | $ | (43,753) | |
(1)Represents netting of derivative exposures covered by qualifying master netting agreements. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2023 | Gross amount recognized | | Gross amounts offset in the statements of financial position(1) | | Net amounts presented in the statements of financial condition | | Collateral (received) / pledged | | Net amount after collateral | Derivative assets (excluding embedded derivatives) | $ | 1,855,023 | | | $ | (1,809,329) | | | $ | 45,694 | | | $ | (45,095) | | | $ | 599 | | Derivative liabilities (excluding embedded derivatives) | $ | 1,057,277 | | | $ | (911,080) | | | $ | 146,197 | | | $ | 167,973 | | | $ | (21,776) | |
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.
|
Offsetting Liabilities |
The amount of Global Atlantic's net derivative assets and liabilities after consideration of collateral received or pledged were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of March 31, 2024 | Gross amount recognized | | Gross amounts offset in the statements of financial position(1) | | Net amounts presented in the statements of financial condition | | Collateral (received) / pledged | | Net amount after collateral | Derivative assets (excluding embedded derivatives) | $ | 2,001,907 | | | $ | (1,973,523) | | | $ | 28,384 | | | $ | (16,333) | | | $ | 12,051 | | Derivative liabilities (excluding embedded derivatives) | $ | 1,005,773 | | | $ | (851,062) | | | $ | 154,711 | | | $ | 198,464 | | | $ | (43,753) | |
(1)Represents netting of derivative exposures covered by qualifying master netting agreements. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2023 | Gross amount recognized | | Gross amounts offset in the statements of financial position(1) | | Net amounts presented in the statements of financial condition | | Collateral (received) / pledged | | Net amount after collateral | Derivative assets (excluding embedded derivatives) | $ | 1,855,023 | | | $ | (1,809,329) | | | $ | 45,694 | | | $ | (45,095) | | | $ | 599 | | Derivative liabilities (excluding embedded derivatives) | $ | 1,057,277 | | | $ | (911,080) | | | $ | 146,197 | | | $ | 167,973 | | | $ | (21,776) | |
(1)Represents netting of derivative exposures covered by qualifying master netting agreements.
|